5,577 reputation
21342
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 6 months
seen 3 hours ago

Investment Analyst in an asset allocation firm in Geneva.


Jun
10
revised What is the best live options data API?
removed courtesies, removed courtesies, formatting
Jun
10
revised How to account for transaction costs in a simulated market environment?
rephrased the title, retagged
Jun
10
revised How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
rephrased the title
Jun
10
revised How should I include the bid-ask spread as a transaction cost in a backtest?
rephrased the title, retagged
Jun
10
answered How should I include the bid-ask spread as a transaction cost in a backtest?
Jun
10
answered Why isn't all market data free?
Jun
10
revised How should I compute the Sharpe Ratio for mid-frequency pair trading strategy?
removed abbreviations
Jun
10
reviewed Approve suggested edit on How to account for transaction costs in a simulated market environment?
Jun
8
revised How to get an analytic result for option price based on this model?
removed courtesies, improved grammar, formatting
Jun
3
answered How to account for transaction costs in a simulated market environment?
Jun
2
comment What are the steps to perform properly a risk factor analysis on a portfolio?
Great answer thanks!
Jun
2
accepted What are the steps to perform properly a risk factor analysis on a portfolio?
May
30
comment generating (or tracking) the DJUBS commodity index
And probably you should add along with the code what the procedure in the manual is. Or at least provide the link to it.
May
29
comment What are the steps to perform properly a risk factor analysis on a portfolio?
I was looking for something not too complicated an commonly use, but I'm of course open to any good procedure...
May
29
asked What are the steps to perform properly a risk factor analysis on a portfolio?
May
29
revised How to perform risk factor calculation?
mathematical signs, tagged
May
29
revised How to perform risk factor calculation?
squared the sigma in formula denominator
May
29
revised Optimal execution and reinforcement learning
removed accronyms
May
29
comment Optimal execution and reinforcement learning
I like the question, but please avoid the acronyms like "ML", "RL", it makes it difficult to read. I corrected the onea I knew but "LOB"? no idea. You could also create links for the papers to improve the quality of the question.
May
29
comment Which greeks do you need to hedge if you want to implement an implied-volatility security?
Yes please! Put the links at the bottom of the post if you have them.